Did the collapse of Silicon Valley Bank catalyze financial contagion?

Journal article

Akhtaruzzaman, Md, Boubaker, Sabri and Goodell, John W.. (2023). Did the collapse of Silicon Valley Bank catalyze financial contagion? Finance Research Letters. 56, pp. 1-11. https://doi.org/10.1016/j.frl.2023.104082
AuthorsAkhtaruzzaman, Md, Boubaker, Sabri and Goodell, John W.
Abstract

We investigate whether the failure of Silicon Valley Bank catalyzed financial contagion in the G7 countries as well as Brazil, China, India, and South Africa. We compare four groupings: markets, banks, non-financial, and financial firms. Dynamic conditional correlation and Diebold Yilmaz spillover analyses show that contagion was pronounced within global banks but minor in other areas. The contagion was also short-lived, being most prevalent during the week following the failure of the Silicon Valley Bank. It is noteworthy that contagion following the largest US bank failure since 2008 was, beyond the banking sector, quite limited.

KeywordsSilicon Valley Bank; financial contagion; spillovers; hedge ratios
Year01 Jan 2023
JournalFinance Research Letters
Journal citation56, pp. 1-11
PublisherAcademic Press (Elsevier)
ISSN1544-6123
Digital Object Identifier (DOI)https://doi.org/10.1016/j.frl.2023.104082
Web address (URL)https://www.sciencedirect.com/science/article/pii/S1544612323004543?via%3Dihub
Open accessPublished as non-open access
Research or scholarlyResearch
Page range1-11
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Output statusPublished
Publication dates
Online03 Jun 2023
Publication process dates
Accepted02 Jun 2023
Deposited12 Jun 2024
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© 2023 Elsevier Inc. All rights reserved

Place of publicationUnited States
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